高频动量突破的ETF择时策略:年化收益率（121.45%）
本策略基于分钟级行情，结合动量与突破信号，对创业板ETF进行高频择时交易。
概要
核心指标
- 累计收益率: 25.5%
- 年化收益率: 121.45%
- 基准收益率: 9.58%
- 阿尔法: 0.34
- 夏普比率: 4.15
- 最大回撤: 4.6%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-14 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 72 | 2.446 | 1249661.4 | 225102.03/21.971% |
| 2025-08-13 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 71 | 2.473 | 1263455.7 | 238896.33/23.317% |
| 2025-08-12 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 70 | 2.385 | 1218496.5 | 193937.13/18.929% |
| 2025-08-11 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 69 | 2.357 | 1204191.3 | 179631.93/17.533% |
| 2025-08-08 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 68 | 2.312 | 1181200.8 | 156641.43/15.289% |
| 2025-08-07 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 67 | 2.32 | 1185288 | 160728.63/15.688% |
| 2025-08-06 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 66 | 2.336 | 1193462.4 | 168903.03/16.485% |
| 2025-08-05 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 65 | 2.32 | 1185288 | 160728.63/15.688% |
| 2025-08-04 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 64 | 2.313 | 1181711.7 | 157152.33/15.339% |
| 2025-08-01 | 创业板(159915.SZ) | 2.0054009982384 | 510900 | 63 | 2.303 | 1176602.7 | 152043.33/14.84% |
交易详情
| 2025-05-07 | 创业板(159915.SZ) | 卖 | -513800 | 1.995 | -1025031 | ¥205.01 | 30115.26 |
| 2025-05-07 | 创业板(159915.SZ) | 买 | 510900 | 2.005 | 1024354.5 | ¥204.87 | 0 |
| 2025-05-06 | 创业板(159915.SZ) | 买 | 513800 | 1.936 | 994716.8 | ¥198.94 | 0 |
